Negative perceptions about migrants in Europe are driven by concerns that foreigners abuse welfare. Paradoxically, instruments of social inclusion are becoming weapons of mass exclusion. We compare evidence on welfare access and the net fiscal position of migrants with perceptions based on a largely unexploited database (EU‐SILC). We find no evidence that legal migrants, notably skilled migrants, are net recipients of transfers from the state. However, there is evidence of ‘residual dependency’ on non‐contributory transfers and self‐selection of unskilled migrants in the countries with the most generous welfare states. Alternative strategies to unbundle migration from welfare access are discussed.